Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1179 |
| Annualized Std Dev | 0.2052 |
| Annualized Sharpe (Rf=0%) | 0.5744 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4396.0000 |
| NAs | 1.0000 |
| Minimum | -0.1189 |
| Quartile 1 | -0.0051 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0069 |
| Maximum | 0.1055 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0129 |
| Skewness | -0.2555 |
| Kurtosis | 7.8102 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0101 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.5555 |
| Historical VaR (95%) | -0.0202 |
| Historical ES (95%) | -0.0311 |
| Modified VaR (95%) | -0.0196 |
| Modified ES (95%) | -0.0351 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2011-04-26 | -0.5555 | 877 | 339 | 538 |
| 2020-02-20 | 2020-03-23 | 2020-06-08 | -0.3039 | 76 | 23 | 53 |
| 2018-09-04 | 2018-12-24 | 2019-04-26 | -0.2373 | 162 | 78 | 84 |
| 2011-04-29 | 2011-10-03 | 2012-02-03 | -0.1876 | 194 | 109 | 85 |
| 2004-01-21 | 2004-08-12 | 2004-12-06 | -0.1844 | 222 | 142 | 80 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 1.5 | -0.5 | 1 |
| 2004 | -0.2 | 1.5 | 0.9 | -2.1 | 0.1 | -1.6 | 0.1 | 0.6 | 2.4 | 0.4 | 1.8 | -0.2 | 3.7 |
| 2005 | 0.3 | 1 | -0.5 | 0.9 | 0.4 | 0.1 | 0.4 | -0.2 | 0.4 | -0.2 | 1.7 | -0.6 | 3.8 |
| 2006 | 0.4 | 1.3 | 0.1 | -0.8 | 1.9 | -0.2 | -1.4 | 0.4 | -0.4 | -1.5 | -0.7 | -0.3 | -1.4 |
| 2007 | 0.6 | -0.4 | 0.2 | 0.1 | 0.5 | -0.4 | 0.5 | 1.3 | 1.5 | -2.1 | -0.5 | -0.9 | 0.3 |
| 2008 | 1.1 | -2.4 | 3.6 | 2.9 | 0.4 | 0.6 | -0.5 | -1.8 | -1.9 | 1.6 | -7.8 | 1.7 | -2.9 |
| 2009 | -2 | -1.4 | 1.3 | -0.5 | 3.6 | 0.5 | 0.3 | -2.1 | -3.1 | -2.4 | 1.4 | -0.4 | -5.1 |
| 2010 | 0.9 | 1.4 | -0.1 | -1.9 | -1.5 | -0.3 | -0.5 | 2.9 | 0.2 | -0.6 | 2.1 | -0.5 | 2.1 |
| 2011 | 2 | -1.4 | -0.1 | 0 | -1.8 | 1.7 | -0.4 | -1.7 | -2.3 | -3.1 | 0.5 | 0.2 | -6.3 |
| 2012 | 1 | 0.8 | -0.2 | -0.1 | -2.6 | 3.2 | -0.8 | 0.4 | -0.2 | 1.8 | 0.3 | 1.5 | 5.1 |
| 2013 | 1.1 | 0.2 | -1 | -0.9 | -0.8 | 0.8 | 0.9 | -0.7 | 1.6 | 0 | 0.4 | 0.3 | 1.8 |
| 2014 | -0.3 | -0.5 | 1.5 | 0.3 | -0.2 | 1.2 | -0.4 | 0.5 | -1.5 | 1.7 | -1.3 | -1 | -0.1 |
| 2015 | -0.9 | -0.3 | -0.7 | 1.3 | 0.1 | 0.3 | 0.2 | -3.1 | 0.1 | -0.3 | 0.7 | -1.2 | -3.7 |
| 2016 | 0.6 | 2.8 | 0.8 | -0.6 | 0.1 | 0.5 | 0.3 | 0.1 | 0.9 | -0.7 | -1.6 | -1 | 2 |
| 2017 | 0.5 | 1.2 | 0.2 | 0.8 | 0.7 | -0.1 | 0.2 | 0.2 | 0.6 | -0.2 | -0.4 | -0.6 | 3 |
| 2018 | -0.3 | -1.3 | 1.7 | 0.7 | 1.4 | 0.2 | 0.4 | 0.3 | -0.2 | 1.9 | 0.8 | 0.6 | 6.4 |
| 2019 | -0.3 | 0.9 | 1.4 | -0.6 | -1.6 | 0.9 | -0.9 | 0 | -1.1 | 1.2 | -0.5 | 0.5 | -0.4 |
| 2020 | -1.7 | 0.3 | -4.3 | -3.1 | 0.6 | 1.2 | 1.3 | 1.5 | 1.3 | -2.4 | 1.6 | 0.2 | -3.9 |
| 2021 | 2.7 | 3 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
